The effect of maternal supplementation of calcium (Ca) and magnesium (Mg) during late gestation and early lactation on immune function of offspring are unknown. The vital role of Ca and Mg on immune function is well known. This study investigated the effect of Ca and Mg supplementation to ewes through late gestation and early lactation on the plasma mineral concentration, immune response and energy profile of ewes, and their offspring. Forty eight ewes were allocated between four treatment groups, namely: Ca, Mg, Ca + Mg and control. Ewes in Ca, Mg and Ca + Mg treatments were supplemented with 50 g calcium carbonate (lime), 50 g magnesium oxide (Causmag) and 25 g calcium carbonate + 25 g magnesium oxide, respectively, from 12 ± 4 days before gestation to one month after lambing. Blood and urine samples were collected from ewes at 2 weeks prior to the commencement of lambing (−2 weeks), 12 h post lambing (+12 h), 2 weeks post lambing (+2 weeks) and 4 weeks post lambing (+4 weeks). Colostrum/milk samples from ewes and blood samples from lambs were collected at +12 h, +2 weeks, and +4 weeks. Lambs born out of ewes in the Ca and Ca + Mg treatments had higher oxidative burst response and total antioxidant capacity (TAC) compared to the Mg and control groups. Oxidative burst response and IgG production in lambs improved from birth to at 4 weeks of age, while the TAC was highest at 2 weeks of age. Ewes supplemented with Ca, Mg and Ca + Mg regulated energy balance more efficiently at lambing compared to the control group. Supplementation of ewes with Mg supplements increased milk Ca level at 4 weeks post lambing and supplementation of ewes with Mg supplements increased plasma Mg concentration in the Mg group over time. Overall, these results indicate that supplementation of ewes with Ca and Ca + Mg during late gestation and early lactation improved immune response in their lambs at least in part via changes in oxidative burst response and antioxidant capacity. Mineral supplementation had a beneficial effect on energy balance regulation in ewes at lambing.